Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0137
Annualized Std Dev 0.1210
Annualized Sharpe (Rf=0%) -0.1136

Row

Daily Return Statistics

Close
Observations 3510.0000
NAs 1.0000
Minimum -0.0810
Quartile 1 -0.0023
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0024
Maximum 0.1228
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0076
Skewness 0.7021
Kurtosis 38.5209

Downside Risk

Close
Semi Deviation 0.0054
Gain Deviation 0.0063
Loss Deviation 0.0066
Downside Deviation (MAR=210%) 0.0107
Downside Deviation (Rf=0%) 0.0054
Downside Deviation (0%) 0.0054
Maximum Drawdown 0.4190
Historical VaR (95%) -0.0094
Historical ES (95%) -0.0186
Modified VaR (95%) -0.0050
Modified ES (95%) -0.0050
From Trough To Depth Length To Trough Recovery
2007-09-20 2009-03-09 NA -0.4190 3399 369 NA
2007-05-29 2007-07-27 2007-09-19 -0.0947 80 43 37
2007-05-01 2007-05-09 2007-05-11 -0.0037 9 7 2
2007-04-13 2007-04-17 2007-04-19 -0.0027 5 3 2
2007-05-14 2007-05-15 2007-05-16 -0.0009 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.3 -0.6 -0.3 -0.9 0.9 -0.2 -1.3 0.4 0.2 -2
2008 -0.6 -0.4 -0.2 1.5 0 -0.8 -1.2 0.2 3.5 0 -3.1 0.6 -0.5
2009 0.5 -1.5 -1 -0.9 1.4 -0.7 1.6 -1.8 -3.4 -0.9 -0.2 0.2 -6.7
2010 -0.3 -0.7 -1 0.3 -1.2 -0.3 -0.3 0.4 -0.5 -0.8 0.3 0.2 -3.9
2011 -0.4 -0.8 -0.7 0.2 -1.2 -0.1 -0.4 -0.7 -2 -2.4 -0.2 0.1 -8.3
2012 -0.4 -0.4 -0.2 -0.5 -1.5 1 0 0.3 -0.7 -0.1 0.2 0.4 -1.9
2013 -0.2 -0.3 -0.3 -0.7 -1.3 0 -1.4 -0.1 -0.1 -0.7 0.1 0.1 -4.8
2014 0 0.1 -0.3 -0.6 0.1 -0.4 -0.5 0.1 -0.3 0.1 -1.5 -0.3 -3.4
2015 -0.3 0 -0.2 -0.2 -0.3 -0.4 -0.2 -0.8 -1.1 0.1 0.2 0.1 -3
2016 -1.1 1 -0.4 0.2 -0.3 -0.3 -1 -0.2 0.4 -0.8 -0.9 0 -3.3
2017 -0.1 -0.1 0 -0.4 -0.1 0.2 -0.3 -0.3 0.1 -0.5 -0.5 0.1 -1.7
2018 -0.6 -1.1 0.3 -0.4 -0.2 -0.2 -0.3 0.1 -0.2 0 -0.2 0.1 -2.6
2019 -0.5 -0.2 -0.5 -0.7 -0.7 -0.4 -0.5 -0.1 -0.6 0 -0.2 0.1 -4.2
2020 -0.4 0.4 -3.2 -2.2 0.4 -0.1 0.2 0.1 -0.1 0.2 -0.1 0.1 -4.7
2021 0 0.8 0.4 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-04-11  104. SPY    144. -0.0041    0.0023   0.0215   0.0209    0.112    0.256    0.284 GLD    67.1 -0.00120   0.019 
2 2007-04-12  104. SPY    145.  0.0044    0.0056   0.0464   0.022     0.115    0.265    0.276 GLD    67.0 -0.0013    0.0027
3 2007-04-13  104. SPY    145.  0.0046    0.0075   0.0434   0.0222    0.130    0.266    0.314 GLD    67.8  0.0127    0.0147
4 2007-04-16  104. SPY    147.  0.0095    0.0156   0.0518   0.0242    0.138    0.296    0.317 GLD    68.4  0.0083    0.0281
5 2007-04-17  104. SPY    147.  0.0027    0.0171   0.0618   0.0289    0.143    0.297    0.330 GLD    68   -0.00580   0.0125
6 2007-04-18  104. SPY    147.  0.00120   0.0226   0.0504   0.0297    0.145    0.304    0.301 GLD    68.4  0.0056    0.0194
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart